Hi everyone
I am using Spatial autoregressive model for panel data - spatial fixed effect model (spxtregress). I need my independent variables to be time-lagged. This is not applicable directly when spxtregress command is used. Hence, instead, I create lagged variables in the following manner
I use these variables within the following command
N is the spatial weight matrix. However the output I get is the following:
Can someone explain to my why I am getting omitted variables lx-lx2 in the results output, while spatial effects are still being calculated? I would appreciate if someone can give a tip how to circumvent this issue.
I also used standard FE model with xtreg command instead. There was no problem- lx-lx2 were not omitted.
Thank you in advance!
Mina Wu
I am using Spatial autoregressive model for panel data - spatial fixed effect model (spxtregress). I need my independent variables to be time-lagged. This is not applicable directly when spxtregress command is used. Hence, instead, I create lagged variables in the following manner
gen lx=l.x
gen lx1=l.x1
gen lx2=l.x2
gen lx1=l.x1
gen lx2=l.x2
Code:
spxtregress Y lx lx2 lx3, fe dvarlag(N) ivarlag(N: lx lx2 lx3) errorlag(N)
Code:
Fixed-effects spatial regression Number of obs = 264
Group variable: _ID Number of groups = 33
Obs per group = 8
Wald chi2(4) = 121.89
Prob > chi2 = 0.0000
Log likelihood = 173.6341 Pseudo R2 = 0.0972
------------------------------------------------------------------------------
Y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
Y |
lx | 0 (omitted)
lx1 | 0 (omitted)
lx2 | 0 (omitted)
-------------+----------------------------------------------------------------
N |
lx | 2.899334 1.527289 1.90 0.058 -.0940967 5.892765
lx1 | | -6.070934 2.52357 -2.41 0.016 -11.01704 -1.124828
lx2 | 2.095667 1.374309 1.52 0.127 -.597929 4.789264
Y | .6944136 .1342155 5.17 0.000 .431356 .9574712
e.Y | -.4444192 .4677527 -0.95 0.342 -1.361198 .4723593
-------------+----------------------------------------------------------------
/sigma_e | .111479 .0055633 .1010914 .1229339
------------------------------------------------------------------------------
Wald test of spatial terms: chi2(5) = 165.28 Prob > chi2 = 0.0000
I also used standard FE model with xtreg command instead. There was no problem- lx-lx2 were not omitted.
Thank you in advance!
Mina Wu
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